Valuation effect of capital account liberalization: Evidence from the Chinese stock market

Haoyuan Ding, Yuying Jin, Kees G. Koedijk and Yunjin Wang

Journal of International Money and Finance, 2020, vol. 107, issue C

Abstract: This paper examines the valuation effect of capital account liberalization. Using an event study approach and the policy announcement for RMB Qualified Foreign Institutional Investors (short for RQFII) as the event date, we find that overall, the stock market responded positively to the capital account liberalization announcement. In addition, we provide some heterogeneity that firms with more stringent financing constraints earn higher returns than their counterparts. Finally, existing local institutions play an important role in determining announcement returns.

Keywords: Capital account liberalization; Financing constraints; RQFII; Market response; China (search for similar items in EconPapers)
JEL-codes: F32 F42 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301649

DOI: 10.1016/j.jimonfin.2020.102208

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